Prof. K Yaun, OLD M3.05

MSc Accounting and Finance, MSc Financial Mathematics, MSc Finance and Economics, MSc Finance and Economics (Research), MSc Management and Regulation of Risk and MSc Risk and Finance.

This course aims to cover the main topics in equity portfolio management. Some of the topics covered in the course include: Portfolio optimization techniques; Multi-factor models and their applications; Trading strategies; International portfolio management and currency hedging; Trading costs; Portfolio performance measurement and attribution; Style analysis; Mutual funds; Hedge funds. The course is based on a number of empirical applications and case studies, so that students can gain a better understanding of implementation issues related to managing an equity portfolio.

20 hours of lectures and 10 hours of classes in the LT.

Regular classworks will be completed, handed in and marked as part of formative assessment for this course.

A study pack will include lecture notes and case studies. All relevant articles will be made available during the course. Useful references are Modern portfolio theory and investment analysis, by E. J. Elton, M. J.Gruber, S. J. Brown, and W. N. Goetzmann, Wiley Press; Modern investment management, by Bob Litterman and the Quantitative Resource Group, GSAM, Wiley Press; Investments, by Z. Bodie, A. Kane, and A. Marcus, McGraw-Hill Irwin.

A two-hour written examination in the ST (100%).